Hedge fund alpha and beta corrected for stale pricing

Alexander Godwin

MPRA Paper from University Library of Munich, Germany

Abstract: This paper introduces a novel method for estimating the alpha and beta of hedge fund indices that corrects for stale pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this technique to a composite hedge fund index and six strategy indices provided by HFR. Once corrected for stale pricing, we find these indices exhibit higher betas and volatility with negative or statistically insignificant positive alpha.

Keywords: hedge funds; alternative investments; stale pricing; risk; beta; alpha; asset allocation; volatility (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2022-03-18
New Economics Papers: this item is included in nep-fmk, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112509

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